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Assessment of inflation expectations based on internet data

Author

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  • Petrova, Diana

    (RANEPA; Moscow, Russian Federation)

Abstract

This article provides assessments of inflation expectations of Russian internet users based on the posts of the social media Vkontakte and Google Trends search queries during 2014–2021. We collect posts from news communities and search queries to measure inflation expectations using inflation-related regular expressions. Inflation expectations based on internet data are highly correlated with actual inflation and reflect household concerns about price increases during 2014–2021. Granger causality tests have shown both measures of internet user inflation expectations can be potential predictors of actual inflation. An econometric analysis of the New Keynesian Phillips Curve is carried out using VAR from February 2015 to December 2021. The results suggest that an increase in inflation expectations is consistent with an increase in actual inflation and a tightening of monetary policy.

Suggested Citation

  • Petrova, Diana, 2022. "Assessment of inflation expectations based on internet data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 25-38.
    • Handle: RePEc:ris:apltrx:0444
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    References listed on IDEAS

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    More about this item

    Keywords

    inflation expectations; internet data; Vkontakte; Google Trends; search queries; VAR;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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